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On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests
16 references·2 citing·36 second hop
On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests (2014)On the Usefulness or Lack Thereof of Opti…International Journal of Central Banking (2012)International Journal of Cent…Potential Pitfalls in Determining Multiple Structural Changes With an Application to Purchasing Power Parity (2007)Potential Pitfalls in Determi…How Stable is the Forecasting Performance of the Yield Curve for Output Growth?* (2006)How Stable is the Forecasting…Dealing with Structural Breaks (2005)Dealing with Structural BreaksStrong rules for detecting the number of breaks in a time series (2003)Strong rules for detecting th…Testing for structural change in conditional models (2000)Testing for structural change…Sources of nonmonotonic power when testing for a shift in mean of a dynamic time series (1999)Sources of nonmonotonic power…Testing structural stability with endogenous breakpoint A size comparison of analytic and bootstrap procedures (1996)Testing structural stability …An Analysis of the Real Interest Rate Under Regime Shifts (1996)An Analysis of the Real Inter…Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Tests for Parameter Instabili…Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Heteroskedasticity and Autoco…Testing for a Unit Root in a Time Series With a Changing Mean (1990)Testing for a Unit Root in a …The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)The Great Crash, the Oil Pric…Testing for the Constancy of Parameters Over Time (1989)Testing for the Constancy of …Regression Theory for Near-Integrated Time Series (1988)Regression Theory for Near-In…On Detecting Changes in the Mean of Normal Variates (1969)On Detecting Changes in the M…Testing for common breaks in a multiple equations system (2018)Testing for common breaks in …A modified confidence set for the structural break date in linear regression models (2016)A modified confidence set for…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Testing for a Unit Root in Time Series Regression (1988)Modelling Nonlinear Economic Time Series (2010)Structural breaks in time series (2012)The impact of economic growth on CO2 emissions in Azerbaijan (2018)Nobel Lecture: Inflation and Unemployment (1977)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A bivariate causality between stock prices and exchange rates: evidence from recent Asianflu☆ (2000)Asset Pricing at the Millennium (2000)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis (1996)What is an Oil Shock? (2000)Bootstrapping autoregressions with conditional heteroskedasticity of unknown form (2004)Forecasting Stock Returns (2013)Time Series Regression with a Unit Root (1987)Automatic Lag Selection in Covariance Matrix Estimation (1994)Emerging equity market volatility (1997)Bayesian Analysis of Stochastic Volatility Models (2002)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)ARCH modeling in finance (1992)Inference About the Change-Point in a Sequence of Random Variables (1970)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (1992)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)Recursive and Sequential Tests of the Unit Root and Trend Break Hypothesis: Theory and International Evidence (1990)Nonstationarity and Level Shifts With an Application to Purchasing Power Parity (1992)Testing for a unit root in variables with a double change in the mean (1998)Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data (1993)Drifts and volatilities: monetary policies and outcomes in the post WWII US (2005)Debt, deficits, and inflation: An application to the public finances of India (1992)Structural Nonparametric Cointegrating Regression (2009)Robust Bond Risk Premia (2017)Real-Time Measurement of Business Conditions (2009)Fiscal Stimulus in a Monetary Union: Evidence from US Regions (2014)FRED-MD: A Monthly Database for Macroeconomic Research (2015)
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References

  • 1989The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis7,685 cited
  • 1993Tests for Parameter Instability and Structural Change With Unknown Change Point4,325 cited
  • 1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation4,039 cited
  • 2012International Journal of Central Banking1,258 cited
  • 1990Testing for a Unit Root in a Time Series With a Changing Mean1,180 cited
  • 1989Testing for the Constancy of Parameters Over Time973 cited
  • 1996An Analysis of the Real Interest Rate Under Regime Shifts779 cited
  • 2005Dealing with Structural Breaks701 cited
  • 2000Testing for structural change in conditional models465 cited
  • 1988Regression Theory for Near-Integrated Time Series366 cited
  • 1969On Detecting Changes in the Mean of Normal Variates224 cited
  • 1996Testing structural stability with endogenous breakpoint A size comparison of analytic and bootstrap procedures195 cited
  • 2006How Stable is the Forecasting Performance of the Yield Curve for Output Growth?*120 cited
  • 2003Strong rules for detecting the number of breaks in a time series117 cited
  • 1999Sources of nonmonotonic power when testing for a shift in mean of a dynamic time series

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112 cited
  • 2007Potential Pitfalls in Determining Multiple Structural Changes With an Application to Purchasing Power Parity86 cited
  • Cited by

    • 2016A modified confidence set for the structural break date in linear regression models14 cited
    • 2018Testing for common breaks in a multiple equations system12 cited